| Close | |
|---|---|
| Annualized Return | 0.0807 |
| Annualized Std Dev | 0.2356 |
| Annualized Sharpe (Rf=0%) | 0.3424 |
| Close | |
|---|---|
| Observations | 5077.0000 |
| NAs | 1.0000 |
| Minimum | -0.1250 |
| Quartile 1 | -0.0065 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0077 |
| Maximum | 0.1080 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0148 |
| Skewness | -0.2839 |
| Kurtosis | 8.0431 |
| Close | |
|---|---|
| Semi Deviation | 0.0107 |
| Gain Deviation | 0.0104 |
| Loss Deviation | 0.0114 |
| Downside Deviation (MAR=210%) | 0.0152 |
| Downside Deviation (Rf=0%) | 0.0105 |
| Downside Deviation (0%) | 0.0105 |
| Maximum Drawdown | 0.6311 |
| Historical VaR (95%) | -0.0213 |
| Historical ES (95%) | -0.0352 |
| Modified VaR (95%) | -0.0228 |
| Modified ES (95%) | -0.0411 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | 2012-09-13 | -0.6311 | 1332 | 444 | 888 |
| 2018-08-23 | 2020-03-23 | 2021-01-07 | -0.4958 | 598 | 397 | 201 |
| 2002-05-06 | 2002-10-09 | 2003-09-02 | -0.2799 | 331 | 109 | 222 |
| 2014-07-07 | 2016-02-11 | 2016-11-11 | -0.2613 | 596 | 405 | 191 |
| 2001-08-22 | 2001-09-21 | 2002-03-01 | -0.1888 | 127 | 18 | 109 |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1 | 0 | 6.7 | 7.8 |
| 2001 | -0.5 | -1 | 1 | -0.1 | 0.4 | 0.4 | 0 | 0.6 | -1.7 | 1 | 0.6 | -0.1 | 0.5 |
| 2002 | 0 | 0.7 | -0.6 | 0.7 | 0.2 | -0.9 | 0.9 | 1.6 | 1.2 | 1.2 | 1.2 | 0.7 | 7.2 |
| 2003 | 0.3 | 0.4 | 1 | -0.2 | 2.2 | 0.5 | -1.8 | 0.5 | 2 | 0 | 1.4 | -0.5 | 5.9 |
| 2004 | -0.1 | 1.4 | 0.9 | -1 | 0.4 | -1.2 | 0.2 | 1.2 | 2.1 | 0.4 | 1.5 | 0.1 | 6 |
| 2005 | 0.9 | 1 | -0.9 | 0.3 | 0.9 | -0.2 | 0.7 | 1.6 | 0.6 | -1 | 1.8 | -0.7 | 5.2 |
| 2006 | 0.4 | 1.2 | 0.3 | -0.3 | 1.1 | 0.5 | -1 | -0.1 | -0.9 | -1.1 | -0.4 | -0.7 | -1.1 |
| 2007 | 0.7 | -0.1 | 0.5 | 0.3 | 0.7 | -0.8 | 0.7 | 1.3 | 1.9 | -3.5 | 0.6 | -0.3 | 1.8 |
| 2008 | 2.5 | -3 | 3.2 | 2.4 | -0.2 | -0.1 | 0.3 | -0.7 | -0.5 | 3.7 | -7.5 | 2.9 | 2.4 |
| 2009 | -3.2 | -1.6 | 2.1 | 0.7 | 3.9 | 1.9 | 0.7 | -2.8 | -2.7 | -3 | 1.5 | -1.4 | -4.2 |
| 2010 | 1 | 1.1 | 1.1 | -2.9 | -3 | -0.6 | 0.5 | 3.9 | 0.3 | -0.7 | 1.9 | -1.1 | 1.3 |
| 2011 | 2.2 | -1.4 | 0.9 | 0.3 | -2.7 | 1.7 | -0.7 | -2 | -1.1 | -4 | -0.9 | -0.9 | -8.4 |
| 2012 | 2.4 | 1.1 | 0.2 | -0.4 | -2.7 | 3.5 | -1.9 | 0.3 | 0.1 | 1.3 | -0.3 | 1.1 | 4.7 |
| 2013 | 0.9 | 0.3 | -0.8 | -2.2 | -1.1 | 2.2 | 1.4 | -1.7 | 0.9 | -0.6 | 0.4 | 0.2 | -0.1 |
| 2014 | -0.7 | 0.2 | 1 | -0.5 | -0.2 | 1.3 | -0.2 | 0.5 | -1.2 | 1.4 | -1 | -1.1 | -0.4 |
| 2015 | -2 | -0.4 | -0.1 | 0.5 | 0.2 | 0.3 | 0.3 | -2.8 | -0.5 | -0.3 | 0.7 | -1.3 | -5.3 |
| 2016 | -0.4 | 1.4 | -0.3 | -0.5 | 0.5 | 0.8 | -0.3 | -0.2 | 1.2 | -1.2 | -0.2 | -0.5 | 0.2 |
| 2017 | -0.2 | 1.8 | 0.4 | 0.2 | 1.9 | -0.1 | 0.2 | 0.9 | 0.1 | -0.6 | -0.6 | -0.7 | 3.5 |
| 2018 | 0.2 | -0.3 | 0.9 | 0.2 | 0.6 | -0.4 | -0.4 | 0.5 | -1.6 | 1.8 | 0.6 | 0.4 | 2.6 |
| 2019 | 0.1 | 0.6 | 1.5 | -1.1 | -1.5 | 0.2 | -1.9 | 0.1 | -1.9 | 1.9 | -0.8 | 0.3 | -2.6 |
| 2020 | -2.2 | -1.2 | -6.9 | -4.4 | 1 | -1.9 | -0.9 | 1.1 | 1.5 | -1.2 | 1.3 | 0.2 | -13.2 |
| 2021 | 1.4 | 3 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.5 |
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2000-09-29 17.8 SPY 144. -0.0171 -0.0114 -0.0447 -0.0114 0.118 NA NA <NA> NA NA NA
2 2000-10-02 17.6 SPY 144. 0.0015 -0.0022 -0.0558 -0.0233 0.100 NA NA <NA> NA NA NA
3 2000-10-04 17.4 SPY 144. 0.0083 0.0037 -0.0502 -0.0142 0.0834 NA NA <NA> NA NA NA
4 2000-10-17 16.6 SPY 135. -0.0249 -0.0213 -0.0685 -0.0937 0.061 NA NA <NA> NA NA NA
5 2000-10-26 16.8 SPY 137. 0.0028 -0.0186 -0.0452 -0.038 0.0158 NA NA <NA> NA NA NA
6 2000-11-08 18.0 SPY 141. -0.0222 -0.0134 0.0209 -0.042 0.0206 NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>